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arXiv:1812.03610 [math.PR]AbstractReferencesReviewsResources

Path Independence of Additive Functionals for SDEs under G-framework

Panpan Pen, Fen-Fen Yang

Published 2018-12-10Version 1

The path independence of additive functionals for SDEs driven by the G-Brownian motion is characterized by nonlinear PDEs. The main result generalizes the existing ones for SDEs driven by the standard Brownian motion.

Categories: math.PR
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